Search Results - "Dyshaev, M. M."

The Optimal Rehedging Interval for the Options Portfolio within the RAPM, Taking into Account Transaction Costs and Liquidity Costs by Dyshaev, M. M., Fedorov, V. E.

“…Using the approach of L.C.G. Rogers and S. Singh, we added liquidity costs accounting to the model with risk adjusted pricing methodology (RAPM), generalized…”
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Group classification for a class of non-linear models of the RAPM type by Fedorov, Vladimir E., Dyshaev, Mikhail M.

“…•Equivalence transformations are found for a class of Black–Scholes models.•The group classification for a class of nonlinear Black–Scholes models is…”
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GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING by Fedorov, Vladimir E., Dyshaev, Mikhail M.

“…We consider a family of equations with two free functional parameters containing the classical Black–Scholes model, Schönbucher–Wilmott model,…”
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Invariant solutions for nonlinear models of illiquid markets by Fedorov, Vladimir E., Dyshaev, Mikhail M.

“…A general nonlinear model of illiquid markets with feedback effects is considered. This equation with 2 free functional parameters contains as partial cases…”
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